Background Nigeria is considered to have the second highest number of people living with human immunodeficiency virus (HIV) worldwide with a national HIV infection prevalence of 5.2% in children and adolescents. Adolescents with HIV-infection have been reported to be more prone to developing comorbid emotional difficulties including depression and suicidality compared to those without HIV-infection. This study is aimed at determining the prevalence and correlates of depression and suicidality in adolescents living with HIV infection. Methods Through a consecutive sampling method, two hundred and one adolescents attending HIV outpatient clinics in two tertiary hospital (Lagos state University Teaching Hospital and Nigerian Institute of Medical Research) were recruited. Confidentiality was assured and maintained. Suicidality and Depression were assessed with their corresponding modules in Mini International Neuropsychiatric Interview for children and adolescents (MINI-Kid) by researcher, while the independent variables were assessed using self-administered questionnaires. Data was analyzed with Statistical Package for Social Science version 20. Result The prevalence of current and lifetime major depressive episode, and suicidality were 16.9%, 44.8% and 35.3% respectively. Female gender, decreased cluster of differentiation 4 (CD4) count and high adverse childhood experience (ACE), were significantly associated with current depressive episode, while poor social support, high ACE, physical abuse, contacting HIV infection after birth and disclosure of status, were associated with lifetime major depressive episode. Factors associated with suicidality were high ACE score, physical abuse, and emotional abuse. After logistic regression analysis; gender, high ACE and CD4 level were independently associated with current major depression, while only poor social support and contracting HIV infection after birth, were independently associated with lifetime major depression. There was a positive correlation between suicidality and depression. Conclusion The presence of high rate of depression and suicidality among adolescents living with HIV-infection in the current study clearly shows the need for regular psychological assessment in these group of adolescents, and thus a strong indication for a multidisciplinary management in them.